Nach der Konsultation zu den europäischen Verbriefungsmärkten im Dezember 2024 hat die Europäische Kommission nun alle Interessengruppen zur Teilnahme an der Sondierung, dem sogenannten „Have Your Say“, eingeladen. In unserer heute veröffentlichten Antwort haben wir uns insbesondere auf eine grundlegende Frage konzentriert: Welche Rolle sollen Banken bei Verbriefungen spielen? Es ist offensichtlich, dass die Rolle der Banken in den Senior-Tranchen von Verbriefungen von besonderer Bedeutung ist. Dies gilt für alle drei Hauptmarktsegmente, synthetische Bilanzverbriefung, öffentliche ABS sowie ABCP/Private.
Hier unsere Antwort im Detail:
Introductory Remarks
BdB and TSI appreciate the opportunity to answer to this Call for Evidence. Having responded to the Targeted Consultation, we emphasize here on the key aspects essential to achieving the defined objectives.
European Competitiveness, Financing the Transition and Securitisation: Facing a significant investment gap, strengthening European competitiveness is of utmost importance efficient capital allocation alongside private and public equity markets plays a key role. In this context, securitisation is one important instrument to manage risks and providing the real economy with necessary debt financing. However, reservations in the public sphere, overregulation in the aftermath of GFC and sluggish progress regarding the European Capital Markets Union have undermined the revival of securitisation. Regulatory improvements are long overdue to support a robust EU securitisation framework without creating new risks.
Lessons learned from the Global Financial Crisis
The GFC exposed severe flaws in the regulation of securitisation: poor asset quality was combined with excessive leverage by different means of securitisation. This has prompted huge losses at global scale. At the same time, however, data clearly prove that traditional and synthetic balance sheet securitisations in established asset classes in Europe have performed very well pre, during and after the GFC. As immediate reaction, international standard setters and European legislators rightly prohibited synthetic arbitrage and re-securitisation, and imposed risk retention and due diligence rules in 2010. However, the framework implemented in 2019 also contains requirements that do not correspond to the risk profile of European securitisations, lead to overcapitalisation and generates a high level of bureaucracy.
Banks take on a wide range of roles in the securitisation market
The upcoming legislative proposal must recognise that banks take on a wide range of functions in the securitisation process and play a central role in the different market segments:
- Synthetic balance sheet securitisation (ca. EUR 150bn transaction volume p.a.): Main asset classes are corporate and project finance loans with over 80%. Banks achieve partial risk transfer and regulatory capital reduction, leading to new lending capacity for the real economy. In this segment, banks always retain the low-risk senior tranche.
- Public ABS (ca. EUR 250bn issuance p.a.): Main asset classes comprise auto loans and leases, consumer and equipment leases, residential mortgages, SME and CLOs. Banks make up for ca. 30-50% of investors in low-risk senior tranches. While asset managers and insurers should generally play a greater role, banks continued involvement for a liquid securitisation market is essential.
- ABCP and private non-ABCP (ca. EUR 230bn outstanding volume): Main asset classes are trade receivables (working capital finance to corporates) with over 60%, and auto, consumer, leasing and SME (25%). Here, banks always fully finance the low-risk senior tranches. The list clearly shows that there can only be a kick-off effect for the securitisation market if the transfer, investments and refinancing by banks become more economical at the same time. This will be the case for banks if the Commission’s proposals include significant adjustments to capital requirements in addition to procedural simplifications.
No Silver Bullet Key Conclusions
In order to achieve a significant effect for the securitisation market, a comprehensive package is required. This package needs to take into account the aforementioned roles of banks in securitisations. The Commission’s proposal should therefore be bold and tackle all of the adjusting screws. A bundle of measures is the key to reducing the burden on existing and new market participants. The comprehensive procedural requirements for securitisations also justify an adjustment to the overcapitalisation of securitisations.